Nasdaq Closes in New Highs on a Narrow Range Day
By
Rennie on Tuesday, September 8th, 2009 at 10:11 pm
TICKscore closed at +15 Tuesday, Cumulative TICK +68,700. Cumulative TICKscore hasn’t moved into new highs yet, although higher highs has certainly been the trend since the March bottom as institutions have remained consistently better buyers. Recall that TICKscore is a measurement of intraday extremes from the NYSE TICK, which in theory should better capture the activity of institutional traders than the standard Cumulative TICK.
Breadth closed better than 3:1 in favor of advancing issues for the third consecutive session, sending the Cumulative Breadth line into new highs for the year. We’ve only seen three consecutive days of 3:1 positive breadth on two other occasions since 1990 – 4/2/09 and 1/2/09 – both preceded short-term tops.
New 52-week highs surged to 175 on the NYSE, essentially matching the 177 reading at the early August top. While there’s still a negative divergence on the chart of New 20-day Highs, that divergence isn’t evident on the 52-week Highs.
S&P futures opened higher for a third consecutive session Tuesday, and opened above the previous day’s high for a second consecutive session. As I noted in Tuesday’s intraday update, two consecutive opens above the previous day’s high has generally led to a higher close the following session. But I would add that’s only been the case in recent years. Prior to 2005, the record isn’t nearly as strong – in fact looking back at the 30 occurrences prior to 2005, the track record is only 50/50 in terms of a higher S&P close the next day. It’s for this reason that this short-term bullish signal won’t be added to the board despite its recent success.
Both the S&P500 and Nasdaq100 posted their narrowest one-day range in over two weeks, which is not the kind of session that typically coincides with 2:1 positive breadth. In terms of the NASDAQ, this combination has only occurred sixteen times since 1990, all of which are listed in the table below…
Nasdaq Breadth 2:1 Positive & NDX ‘NR10′ Session
09/08/09… ???
06/04/09… Lower NDX close two sessions later
10/30/08… Lower NDX close five sessions later
10/20/08… Lower NDX close one session later
08/28/08… Lower NDX close one session later
08/22/08… Lower NDX close one session later
11/23/07… Lower NDX close one session later
04/19/05… Lower NDX close one session later
01/31/05… Lower NDX close three sessions later
01/14/05… Lower NDX close two sessions later
07/29/04… Lower NDX close three sessions later
05/11/04… Lower NDX close one session later
03/17/04… Lower NDX close one session later
10/15/02… Lower NDX close one session later
05/14/02… Lower NDX close four sessions later
12/08/00… Lower NDX close two sessions later
11/24/00… Lower NDX close one session later
Note that the NDX posted a subsequently lower close (below the setup day’s close) within the next week in all sixteen cases.
Despite the late-session comeback, S&P futures still didn’t manage to settle above Tuesday’s open, creating a black candlestick to go along with the unfilled upside gap. There have been approximately 200 sessions since 1990 in which S&P futures left an unfilled upside gap (low>previous day’s high). In fewer than 30 cases did the S&Ps settle below the open. When it has occurred, the S&P typically fills the gap within the next few days. The last thirty occurrences of an unfilled upside gap in the front-month S&P futures contract that coincided with a black candlestick are listed in the table below. Note that in only four cases out of thirty was the gap not filled at some point over the next four sessions. This hints at the potential for a drop into the SPU 1016 area by the end of the week…
S&P Futures Unfilled Upside Gap w/ Black Candlestick
09/08/09… ???
07/30/09… Gap not filled within four days
09/19/08… Gap filled three days later
09/08/08… Gap filled one day later
04/18/08… Gap filled two days later
09/19/07… Gap filled one day later
08/17/07… Gap not filled within four days
06/15/07… Gap filled two days later
06/17/05… Gap filled one day later
10/04/04… Gap filled one day later
04/02/04… Gap filled four days later
10/03/03… Gap not filled within four days
07/14/03… Gap filled one day later
11/04/02… Gap filled two days later
10/17/02… Gap filled one day later
03/06/01… Gap filled three days later
11/27/00… Gap filled one day later
06/02/00… Gap not filled within four days
09/27/99… Gap filled one day later
10/12/98… Gap filled one day later
12/20/96… Gap filled one day later
10/13/95… Gap filled one day later
10/13/94… Gap filled one day later
06/12/92… Gap filled one day later
10/19/90… Gap filled four days later
01/19/90… Gap filled one day later
07/11/89… Gap filled three days later
06/22/88… Gap filled two days later
06/14/88… Gap filled two days later
01/15/88… Gap filled three days later
01/05/88… Gap filled one day later
A quick rejection of an upside gap emboldens sellers, so if Tuesday’s gap is filled immediately (meaning on Wednesday), it would tend to indicate a bit more downside is in store. The last thirty occurrences in which an unfilled upside gap was filled the next day are listed in the table below. Note that in 26 out of 30 cases stretching back to 1996, or 87% of the time, the S&P closed at a subsequently lower level (below the setup day’s close) within the next four sessions. That just misses the threshold required to put it up on the board, given the S&P’s 70% at-any-time odds of posting a lower close within four sessions, but it does suggest a difference between gaps that are filled eventually and those that are filled immediately…
S&P Futures Fill an Upside Gap Next Session
01/29/09… Lower S&P close one session later
11/05/08… Lower S&P close one session later
09/22/08… Lower S&P close one session later
09/09/08… Lower S&P close four sessions later
08/29/08… Lower S&P close one session later
08/25/08… No lower close within four sessions
09/20/07… Lower S&P close two sessions later
07/05/07… Lower S&P close three sessions later
08/03/06… Lower S&P close one session later
06/20/05… Lower S&P close three sessions later
10/05/04… Lower S&P close two sessions later
03/18/04… Lower S&P close one session later
07/15/03… Lower S&P close one session later
10/18/02… Lower S&P close four sessions later
10/12/01… Lower S&P close one session later
04/06/01… No lower close within four sessions
11/28/00… Lower S&P close one session later
03/06/00… Lower S&P close one session later
02/09/00… Lower S&P close two sessions later
01/18/00… Lower S&P close two sessions later
01/11/00… Lower S&P close one session later
10/25/99… Lower S&P close one session later
09/28/99… Lower S&P close one session later
11/30/98… Lower S&P close three sessions later
10/13/98… No lower close within four sessions
09/24/98… Lower S&P close one session later
08/13/98… Lower S&P close one session later
07/17/97… Lower S&P close one session later
07/07/97… Lower S&P close two sessions later
12/23/96… No lower close within four sessions
Nasdaq Closes in New Highs on a Narrow Range Day
By Rennie on Tuesday, September 8th, 2009 at 10:11 pmTICKscore closed at +15 Tuesday, Cumulative TICK +68,700. Cumulative TICKscore hasn’t moved into new highs yet, although higher highs has certainly been the trend since the March bottom as institutions have remained consistently better buyers. Recall that TICKscore is a measurement of intraday extremes from the NYSE TICK, which in theory should better capture the activity of institutional traders than the standard Cumulative TICK.
Breadth closed better than 3:1 in favor of advancing issues for the third consecutive session, sending the Cumulative Breadth line into new highs for the year. We’ve only seen three consecutive days of 3:1 positive breadth on two other occasions since 1990 – 4/2/09 and 1/2/09 – both preceded short-term tops.
New 52-week highs surged to 175 on the NYSE, essentially matching the 177 reading at the early August top. While there’s still a negative divergence on the chart of New 20-day Highs, that divergence isn’t evident on the 52-week Highs.
S&P futures opened higher for a third consecutive session Tuesday, and opened above the previous day’s high for a second consecutive session. As I noted in Tuesday’s intraday update, two consecutive opens above the previous day’s high has generally led to a higher close the following session. But I would add that’s only been the case in recent years. Prior to 2005, the record isn’t nearly as strong – in fact looking back at the 30 occurrences prior to 2005, the track record is only 50/50 in terms of a higher S&P close the next day. It’s for this reason that this short-term bullish signal won’t be added to the board despite its recent success.
Both the S&P500 and Nasdaq100 posted their narrowest one-day range in over two weeks, which is not the kind of session that typically coincides with 2:1 positive breadth. In terms of the NASDAQ, this combination has only occurred sixteen times since 1990, all of which are listed in the table below…
Nasdaq Breadth 2:1 Positive & NDX ‘NR10′ Session
09/08/09… ???
06/04/09… Lower NDX close two sessions later
10/30/08… Lower NDX close five sessions later
10/20/08… Lower NDX close one session later
08/28/08… Lower NDX close one session later
08/22/08… Lower NDX close one session later
11/23/07… Lower NDX close one session later
04/19/05… Lower NDX close one session later
01/31/05… Lower NDX close three sessions later
01/14/05… Lower NDX close two sessions later
07/29/04… Lower NDX close three sessions later
05/11/04… Lower NDX close one session later
03/17/04… Lower NDX close one session later
10/15/02… Lower NDX close one session later
05/14/02… Lower NDX close four sessions later
12/08/00… Lower NDX close two sessions later
11/24/00… Lower NDX close one session later
Note that the NDX posted a subsequently lower close (below the setup day’s close) within the next week in all sixteen cases.
Despite the late-session comeback, S&P futures still didn’t manage to settle above Tuesday’s open, creating a black candlestick to go along with the unfilled upside gap. There have been approximately 200 sessions since 1990 in which S&P futures left an unfilled upside gap (low>previous day’s high). In fewer than 30 cases did the S&Ps settle below the open. When it has occurred, the S&P typically fills the gap within the next few days. The last thirty occurrences of an unfilled upside gap in the front-month S&P futures contract that coincided with a black candlestick are listed in the table below. Note that in only four cases out of thirty was the gap not filled at some point over the next four sessions. This hints at the potential for a drop into the SPU 1016 area by the end of the week…
S&P Futures Unfilled Upside Gap w/ Black Candlestick
09/08/09… ???
07/30/09… Gap not filled within four days
09/19/08… Gap filled three days later
09/08/08… Gap filled one day later
04/18/08… Gap filled two days later
09/19/07… Gap filled one day later
08/17/07… Gap not filled within four days
06/15/07… Gap filled two days later
06/17/05… Gap filled one day later
10/04/04… Gap filled one day later
04/02/04… Gap filled four days later
10/03/03… Gap not filled within four days
07/14/03… Gap filled one day later
11/04/02… Gap filled two days later
10/17/02… Gap filled one day later
03/06/01… Gap filled three days later
11/27/00… Gap filled one day later
06/02/00… Gap not filled within four days
09/27/99… Gap filled one day later
10/12/98… Gap filled one day later
12/20/96… Gap filled one day later
10/13/95… Gap filled one day later
10/13/94… Gap filled one day later
06/12/92… Gap filled one day later
10/19/90… Gap filled four days later
01/19/90… Gap filled one day later
07/11/89… Gap filled three days later
06/22/88… Gap filled two days later
06/14/88… Gap filled two days later
01/15/88… Gap filled three days later
01/05/88… Gap filled one day later
A quick rejection of an upside gap emboldens sellers, so if Tuesday’s gap is filled immediately (meaning on Wednesday), it would tend to indicate a bit more downside is in store. The last thirty occurrences in which an unfilled upside gap was filled the next day are listed in the table below. Note that in 26 out of 30 cases stretching back to 1996, or 87% of the time, the S&P closed at a subsequently lower level (below the setup day’s close) within the next four sessions. That just misses the threshold required to put it up on the board, given the S&P’s 70% at-any-time odds of posting a lower close within four sessions, but it does suggest a difference between gaps that are filled eventually and those that are filled immediately…
S&P Futures Fill an Upside Gap Next Session
01/29/09… Lower S&P close one session later
11/05/08… Lower S&P close one session later
09/22/08… Lower S&P close one session later
09/09/08… Lower S&P close four sessions later
08/29/08… Lower S&P close one session later
08/25/08… No lower close within four sessions
09/20/07… Lower S&P close two sessions later
07/05/07… Lower S&P close three sessions later
08/03/06… Lower S&P close one session later
06/20/05… Lower S&P close three sessions later
10/05/04… Lower S&P close two sessions later
03/18/04… Lower S&P close one session later
07/15/03… Lower S&P close one session later
10/18/02… Lower S&P close four sessions later
10/12/01… Lower S&P close one session later
04/06/01… No lower close within four sessions
11/28/00… Lower S&P close one session later
03/06/00… Lower S&P close one session later
02/09/00… Lower S&P close two sessions later
01/18/00… Lower S&P close two sessions later
01/11/00… Lower S&P close one session later
10/25/99… Lower S&P close one session later
09/28/99… Lower S&P close one session later
11/30/98… Lower S&P close three sessions later
10/13/98… No lower close within four sessions
09/24/98… Lower S&P close one session later
08/13/98… Lower S&P close one session later
07/17/97… Lower S&P close one session later
07/07/97… Lower S&P close two sessions later
12/23/96… No lower close within four sessions